The properties of a new estimator for the coefficient of tail dependence in two dimensional extreme-value

被引：0
|
作者：
Wu, SL [1 ]
Wu, DZ [1 ]
机构：
[1] Logist Engn Univ, Dept Fdn, Chongqing 400016, Peoples R China
来源：
WAVELET ANALYSIS AND ACTIVE MEDIA TECHNOLOGY VOLS 1-3 | 2005年
关键词：
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
A new estimator for the coefficient of tail dependence is proposed in two-dimensional extreme values. According to studies for a process related to empirical distribution, we prove the weak consistency under the condition of regularly varying and the asymptotically normal under the condition of second order regularly varying.
引用
收藏
页码：990 / 995
页数：6
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